Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0143
Annualized Std Dev 0.0793
Annualized Sharpe (Rf=0%) -0.1802

Row

Daily Return Statistics

Close
Observations 2984.0000
NAs 1.0000
Minimum -0.0215
Quartile 1 -0.0028
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0028
Maximum 0.0413
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0050
Skewness 0.0844
Kurtosis 2.8162

Downside Risk

Close
Semi Deviation 0.0035
Gain Deviation 0.0033
Loss Deviation 0.0034
Downside Deviation (MAR=210%) 0.0097
Downside Deviation (Rf=0%) 0.0036
Downside Deviation (0%) 0.0036
Maximum Drawdown 0.3279
Historical VaR (95%) -0.0082
Historical ES (95%) -0.0113
Modified VaR (95%) -0.0079
Modified ES (95%) -0.0113
From Trough To Depth Length To Trough Recovery
2011-05-02 2020-03-20 NA -0.3279 2424 2199 NA
2009-12-02 2010-06-07 2011-04-28 -0.1543 354 128 226
2009-01-29 2009-03-09 2009-03-19 -0.0572 30 22 8
2009-03-20 2009-04-20 2009-05-08 -0.0417 34 21 13
2009-06-03 2009-06-15 2009-07-22 -0.0393 35 9 26

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 -1.4 -0.4 -0.1 -0.1 -0.1 0.5 1.2 -0.9 -0.7 -0.3 0.4 0.2 -1.5
2010 0 -0.4 0 0.2 0.4 1.8 0.4 0.7 0.5 -0.4 0.2 0.7 4
2011 0.8 0.1 -0.2 0.5 -0.3 -0.2 -0.8 -0.8 -0.5 -1.6 -0.9 0.7 -3.1
2012 0.8 0 0.5 0 -0.3 1 -0.2 0.4 -0.1 -0.3 -0.3 -0.2 1.3
2013 0.3 -0.4 0.6 -0.2 -0.1 0.8 -0.5 -0.2 0 -0.1 0.2 -0.3 0.2
2014 -0.1 0.5 -0.2 -0.2 0.1 0 0 -0.5 0.1 -1.2 -0.1 0.1 -1.4
2015 0 -0.2 0.1 -0.4 -0.7 -0.7 0.1 0.8 0.2 0.2 0.6 -0.2 -0.2
2016 0.5 -0.2 0.2 0.7 0.1 0.5 -0.4 0.5 0 0.6 0.1 0.1 2.6
2017 0 -0.8 -0.1 -0.2 0.2 0.4 -0.2 -0.1 0.3 -0.5 0.2 0.4 -0.4
2018 0.5 -0.1 0.1 -0.7 -0.4 0.5 -0.2 -0.3 -0.1 0.8 -0.6 0.1 -0.3
2019 0 -0.3 -0.2 -0.2 0.4 -0.4 0 -0.3 -0.1 0 -0.1 0.2 -1.1
2020 0.4 0.9 0 0.3 0.7 0.2 -0.1 -0.1 0.2 0 0.9 -0.2 3.2
2021 -0.6 -0.3 -0.1 NA NA NA NA NA NA NA NA NA -1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-01-28  98.2 SPY    87.4  0.0338  0.0397    0.0026   0.041    -0.357   -0.314   -0.238 GLD    87.4 -0.0109  0.0388 
2 2009-01-29  96.8 SPY    84.6 -0.0325  0.0218   -0.0272  -0.0982   -0.373   -0.342   -0.254 GLD    89.5  0.0239  0.0582 
3 2009-02-02  96.0 SPY    82.6 -0.003  -0.0131   -0.0849  -0.142    -0.408   -0.352   -0.272 GLD    88.8 -0.0271 -0.00120
4 2009-02-03  96.8 SPY    83.7  0.014  -0.00930  -0.0992  -0.135    -0.392   -0.348   -0.265 GLD    88.5 -0.0042  0.001  
5 2009-02-05  96.1 SPY    84.6  0.0149  0.0002   -0.0952  -0.158    -0.364   -0.330   -0.251 GLD    90.1  0.0105  0.0069 
6 2009-02-06  96.3 SPY    87.0  0.0285  0.0501   -0.0407  -0.0958   -0.351   -0.313   -0.232 GLD    89.6 -0.0059 -0.0188 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart